Press select while in the 3rd and fourth generation PC Boxes and it will pick a pokemon up without a message box popping up.

In generation 3, the orange glove can pick up multiple pokemon in a single PC box at once by holding down the A button while having it over a pokemon and moving it across other pokemon occupying the same PC box.

I'm not entirely sure about generation 4 as I tried getting the Orange Glove to select more than one pokemon in my Pearl version the other day and I couldn't.